Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0207
Annualized Std Dev 0.2458
Annualized Sharpe (Rf=0%) -0.0840

Row

Daily Return Statistics

Close
Observations 3597.0000
NAs 1.0000
Minimum -0.1841
Quartile 1 -0.0017
Median 0.0005
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0022
Maximum 0.2272
SE Mean 0.0003
LCL Mean (0.95) -0.0005
UCL Mean (0.95) 0.0005
Variance 0.0002
Stdev 0.0155
Skewness 0.9329
Kurtosis 62.7601

Downside Risk

Close
Semi Deviation 0.0108
Gain Deviation 0.0143
Loss Deviation 0.0154
Downside Deviation (MAR=210%) 0.0147
Downside Deviation (Rf=0%) 0.0108
Downside Deviation (0%) 0.0108
Maximum Drawdown 0.7919
Historical VaR (95%) -0.0112
Historical ES (95%) -0.0348
Modified VaR (95%) -0.0015
Modified ES (95%) -0.0015
From Trough To Depth Length To Trough Recovery
2006-12-05 2009-03-09 NA -0.7919 3597 567 NA

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA NA NA NA NA NA NA 0 NA
2007 0.2 0 0.2 -0.2 0 0.3 -0.4 0.8 0.6 -0.3 1.2 0 2.3
2008 4.1 -0.8 0.3 0 -0.7 -2.3 1.3 1.2 3.7 0.9 -3.8 4.4 8.4
2009 0.3 -7.5 3 0.8 1.2 0.4 1.6 -0.7 -0.9 -1 0.7 0.2 -2.2
2010 1 0.5 0.5 -0.6 -0.8 0.4 0.2 0.5 0.4 -0.1 0.6 0.9 3.5
2011 0.3 -0.1 0.2 0.4 -0.2 0.1 0.9 -0.4 -0.5 -1.5 -0.5 0.4 -0.8
2012 0.5 0.1 -0.1 0.1 -1.1 0.2 0.2 0.3 0.2 0.3 0.2 -0.1 0.7
2013 0.1 -0.1 0 -0.2 -0.9 -0.2 -0.3 0.2 -0.3 0.1 0.1 0.2 -1.3
2014 0.1 -0.1 0.3 0.6 -0.1 0.2 -0.3 0.1 -0.2 0.2 -0.1 0.3 1.2
2015 0.2 0.2 -0.1 -0.2 -0.2 0.1 0.2 -0.2 -0.4 0.2 0.1 0.1 0
2016 -0.1 0.5 -0.6 0.1 0.3 -0.2 -0.1 -0.1 0.3 -0.3 -0.7 0 -0.8
2017 0.1 -0.2 0.2 0.1 0.2 0.2 0.2 0.1 0.1 0.2 0.2 0 1.3
2018 -0.5 -0.1 0.1 0 0.3 0.3 -0.3 0.2 -0.7 0.1 -0.3 0.9 0.1
2019 -0.2 0.6 0.5 0.2 -0.5 0.1 0.1 -0.3 0.1 -0.3 -0.1 0.1 0.2
2020 -0.2 -1.1 -3.3 -0.8 -0.2 0.1 0.3 -0.1 0.5 0 -0.2 0.3 -4.7
2021 0.1 0.2 0.6 NA NA NA NA NA NA NA NA NA 0.9

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Price Chart

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Rolling Performance Chart

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Snail Trail Chart